
from time import time
import warnings
import sys

from pathlib import Path
import numpy as np
import pandas as pd
import seaborn as sns
import matplotlib.pyplot as plt
import pandas_datareader.data as web

from logbook import (NestedSetup, NullHandler, Logger, 
                     StreamHandler, StderrHandler, 
                     INFO, WARNING, DEBUG, ERROR)

from zipline import run_algorithm
from zipline.api import (attach_pipeline, pipeline_output,
                         date_rules, time_rules, record,get_datetime,
                         schedule_function, commission, slippage,
                         set_slippage, set_commission, set_max_leverage,
                         order_target, order_target_percent,
                         get_open_orders, cancel_order)
from zipline.data import bundles
from zipline.utils.run_algo import load_extensions
from zipline.pipeline import Pipeline, CustomFactor
from zipline.pipeline.data import Column, DataSet
from zipline.pipeline.domain import US_EQUITIES
from zipline.pipeline.filters import StaticAssets
from zipline.pipeline.loaders.frame import DataFrameLoader

from pypfopt.efficient_frontier import EfficientFrontier
from pypfopt.hierarchical_portfolio import HRPOpt
from pypfopt import risk_models
from pypfopt import expected_returns

import pyfolio as pf
from pyfolio.plotting import plot_rolling_returns, plot_rolling_sharpe
from pyfolio.timeseries import forecast_cone_bootstrap


sns.set_style('darkgrid')
warnings.filterwarnings('ignore')
np.random.seed(42)


load_extensions(default=True,
                extensions=[],
                strict=True,
                environ=None)


# setup stdout logging
format_string = '[{record.time: %H:%M:%S.%f}]: {record.level_name}: {record.message}'
zipline_logging = NestedSetup([NullHandler(level=DEBUG),
                               StreamHandler(sys.stdout, format_string=format_string, level=INFO),
                               StreamHandler(sys.stdout, format_string=format_string, level=WARNING),
                               StreamHandler(sys.stderr, level=ERROR)])
zipline_logging.push_application()
log = Logger('Algorithm')


N_LONGS = 25
MIN_POSITIONS = 20


bundle_data = bundles.load('quandl')


def load_predictions(bundle):
    path = Path('../../12_gradient_boosting_machines/data')
    predictions = (pd.read_hdf(path / 'predictions.h5', 'lgb/train/01')
                   .append(pd.read_hdf(path / 'predictions.h5', 'lgb/test/01').drop('y_test', axis=1)))
    predictions = (predictions.loc[~predictions.index.duplicated()]
                   .iloc[:, :10]
                   .mean(1)
                   .sort_index()
                   .dropna()
                  .to_frame('prediction'))
    tickers = predictions.index.get_level_values('symbol').unique().tolist()

    assets = bundle.asset_finder.lookup_symbols(tickers, as_of_date=None)
    predicted_sids = pd.Int64Index([asset.sid for asset in assets])
    ticker_map = dict(zip(tickers, predicted_sids))

    return (predictions
            .unstack('symbol')
            .rename(columns=ticker_map)
            .prediction
            .tz_localize('UTC')), assets


predictions, assets = load_predictions(bundle_data)


predictions.info()

<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 753 entries, 2015-01-02 to 2017-12-28
Columns: 995 entries, 0 to 3188
dtypes: float64(995)
memory usage: 5.7 MB


class SignalData(DataSet):
    predictions = Column(dtype=float)
    domain = US_EQUITIES


signal_loader = {SignalData.predictions:
                     DataFrameLoader(SignalData.predictions, predictions)}


class MLSignal(CustomFactor):
    """Converting signals to Factor
        so we can rank and filter in Pipeline"""
    inputs = [SignalData.predictions]
    window_length = 1

    def compute(self, today, assets, out, predictions):
        out[:] = predictions


def compute_signals():
    signals = MLSignal()
    return Pipeline(columns={
        'longs' : signals.top(N_LONGS, mask=signals > 0)
    },
            screen=StaticAssets(assets))


def before_trading_start(context, data):
    """
    Called every day before market open.
    """
    output = pipeline_output('signals')['longs'].astype(int)
    context.longs = output[output!=0].index
    if len(context.longs) < MIN_POSITIONS:
        context.divest = set(context.portfolio.positions.keys())
    else:
        context.divest = context.portfolio.positions.keys() - context.longs


def rebalance_equal_weighted(context, data):
    """
    Execute orders according to schedule_function() date & time rules.
    """
    for symbol, open_orders in get_open_orders().items():
        for open_order in open_orders:
            cancel_order(open_order)
      
    for asset in context.divest:
        order_target(asset, target=0)
        
    if len(context.longs) > context.min_positions:
        for asset in context.longs:
            order_target_percent(asset, 1/len(context.longs))


def optimize_weights(prices, short=False):
    """Uses PyPortfolioOpt to optimize weights"""
    returns = expected_returns.mean_historical_return(prices=prices, 
                                                      frequency=252)
    cov = risk_models.sample_cov(prices=prices, frequency=252)

    # get weights that maximize the Sharpe ratio
    # using solver SCS which produces slightly fewer errors than default
    # see https://github.com/robertmartin8/PyPortfolioOpt/issues/221
    ef = EfficientFrontier(expected_returns=returns, 
                           cov_matrix=cov, 
                           weight_bounds=(0, 1),
                           solver='SCS) 
    
    weights = ef.max_sharpe()
    if short:
        return {asset: -weight for asset, weight in ef.clean_weights().items()}
    else:
        return ef.clean_weights()


def rebalance_markowitz(context, data):
    """
    Execute orders according to schedule_function() date & time rules.
    """
    for symbol, open_orders in get_open_orders().items():
        for open_order in open_orders:
            cancel_order(open_order)
      
    for asset in context.divest:
        order_target(asset, target=0)
        
    if len(context.longs) > context.min_positions:
        prices = data.history(context.longs, fields='price',
                          bar_count=252+1, # for 1 year of returns 
                          frequency='1d')
        try:
            markowitz_weights = optimize_weights(prices)
            for asset, target in markowitz_weights.items():
                order_target_percent(asset=asset, target=target)
        except Exception as e:
            log.warn('{} {}'.format(get_datetime().date(), e))


def rebalance_hierarchical_risk_parity(context, data):
    """
    Execute orders according to schedule_function() date & time rules.
    Uses PyPortfolioOpt to optimize weights
    """
    for symbol, open_orders in get_open_orders().items():
        for open_order in open_orders:
            cancel_order(open_order)
      
    for asset in context.divest:
        order_target(asset, target=0)
        
    if len(context.longs) > context.min_positions:
        returns = (data.history(context.longs, fields='price',
                          bar_count=252+1, # for 1 year of returns 
                          frequency='1d')
                   .pct_change()
                   .dropna(how='all'))
        hrp_weights = HRPOpt(returns=returns).optimize()
        for asset, target in hrp_weights.items():
            order_target_percent(asset=asset, target=target)


def record_vars(context, data):
    """
    Plot variables at the end of each day.
    """
    record(leverage=context.account.leverage,
           longs=context.longs)


pf_algos = {
    'ew': rebalance_equal_weighted,
    'markowitz': rebalance_markowitz,        
    'hrp': rebalance_hierarchical_risk_parity
}


# more descriptive labels for plots
algo_labels = {
    'ew': 'Equal Weighted', 
    'markowitz': 'Markowitz (MFT)',
    'hrp': 'Hierarchical Risk Parity'
    }


selected_pf_algo = 'hrp'


def initialize(context):
    """
    Called once at the start of the algorithm.
    """
    context.n_longs = N_LONGS
    context.min_positions = MIN_POSITIONS
    context.universe = assets
    context.trades = pd.Series()
    context.longs = 0
    context.pf_algo = pf_algos.get(selected_pf_algo)
    
    set_slippage(slippage.FixedSlippage(spread=0.00))
    set_commission(commission.PerShare(cost=0.001, min_trade_cost=1))

    schedule_function(context.pf_algo,
                      # run every day after market open
                      date_rules.every_day(),
                      time_rules.market_open(hours=1, minutes=30))    

    schedule_function(record_vars,
                      date_rules.every_day(),
                      time_rules.market_close())

    pipeline = compute_signals()
    attach_pipeline(pipeline, 'signals')


dates = predictions.index.get_level_values('date')
start_date, end_date = dates.min(), dates.max()


print('Start: {}\nEnd:   {}'.format(start_date.date(), end_date.date()))

Start: 2015-01-02
End:   2017-12-28


start = time()
results = run_algorithm(start=start_date,
                        end=end_date,
                        initialize=initialize,
                        before_trading_start=before_trading_start,
                        capital_base=1e5,
                        data_frequency='daily',
                        bundle='quandl',
                        custom_loader=signal_loader)  # need to modify zipline

print('Duration: {:.2f}s'.format(time() - start))

[ 18:22:16.112701]: INFO: after split: asset: Equity(406 [BOFI]), amount: 208, cost_basis: 21.58, last_sale_price: 83.29
[ 18:22:16.113149]: INFO: returning cash: 0.0
[ 18:23:15.358703]: INFO: Simulated 754 trading days
first open: 2015-01-02 14:31:00+00:00
last close: 2017-12-28 21:00:00+00:00
Duration: 82.44s


returns, positions, transactions = pf.utils.extract_rets_pos_txn_from_zipline(results)


with pd.HDFStore('backtests.h5') as store:
    store.put('returns/{}'.format(selected_pf_algo), returns)
    store.put('positions/{}'.format(selected_pf_algo), positions)
    store.put('transactions/{}'.format(selected_pf_algo), transactions)


with pd.HDFStore('backtests.h5') as store:
    print(store.info())

<class 'pandas.io.pytables.HDFStore'>
File path: backtests.h5
/positions/ew                      frame        (shape->[700,1])  
/positions/hrp                     frame        (shape->[700,1])  
/positions/markowitz               frame        (shape->[691,1])  
/returns/ew                        series       (shape->[754])    
/returns/hrp                       series       (shape->[754])    
/returns/markowitz                 series       (shape->[754])    
/transactions/ew                   frame        (shape->[24443,8])
/transactions/hrp                  frame        (shape->[25332,8])
/transactions/markowitz            frame        (shape->[4489,8])


benchmark = web.DataReader('SP500', 'fred', '2014', '2018').squeeze()
benchmark = benchmark.pct_change().tz_localize('UTC')


fig, axes = plt.subplots(ncols=3, nrows=2, figsize=(18, 8))

for i, (algo, label) in enumerate(algo_labels.items()):
    returns = pd.read_hdf('backtests.h5', f'returns/{algo}')    
    plot_rolling_returns(returns,
                         factor_returns=benchmark,
                         live_start_date='2017-01-01',
                         logy=False,
                         cone_std=2,
                         legend_loc='best',
                         volatility_match=False,
                         cone_function=forecast_cone_bootstrap,
                        ax=axes[0][i])
    plot_rolling_sharpe(returns, ax=axes[1][i], rolling_window=63)
    axes[0][i].set_title(f'{label} | Cumulative Returns')
    axes[1][i].set_title(f'{label} | Rolling Sharpe Ratio')
    fig.tight_layout()


def load_results(experiment='hrp'):
    with pd.HDFStore('backtests.h5') as store:
        returns = store.get('returns/{}'.format(experiment))
        positions = store.get('positions/{}'.format(experiment))
        transactions = store.get('transactions/{}'.format(experiment))
    return returns, positions, transactions


experiment = 'ew'
returns, positions, transactions = load_results(experiment)

pf.create_full_tear_sheet(returns, 
                          positions=positions, 
                          transactions=transactions,
                          benchmark_rets=benchmark,
                          live_start_date='2017-01-01', 
                          round_trips=True)


experiment = 'hrp'
returns, positions, transactions = load_results(experiment)

pf.create_full_tear_sheet(returns, 
                          positions=positions, 
                          transactions=transactions,
                          benchmark_rets=benchmark,
                          live_start_date='2017-01-01', 
                          round_trips=True)


experiment = 'markowitz'
returns, positions, transactions = load_results(experiment)

pf.create_full_tear_sheet(returns, 
                          positions=positions, 
                          transactions=transactions,
                          benchmark_rets=benchmark,
                          live_start_date='2017-01-01', 
                          round_trips=True)

	All	In-sample	Out-of-sample
Start date	2015-01-02
End date	2017-12-28
In-sample months	24
Out-of-sample months	11
Annual return	32.7%	26.7%	45.6%
Cumulative returns	133.0%	60.6%	45.1%
Annual volatility	33.4%	38.5%	19.7%
Sharpe ratio	1.01	0.81	2.00
Calmar ratio	0.77	0.63	3.24
Stability	0.74	0.27	0.75
Max drawdown	-42.5%	-42.5%	-14.1%
Omega ratio	1.21	1.16	1.43
Sortino ratio	1.51	1.20	3.13
Skew	-0.02	-0.00	-0.04
Kurtosis	3.35	2.28	1.13
Tail ratio	1.22	1.15	1.34
Daily value at risk	-4.1%	-4.7%	-2.3%
Gross leverage	1.38	1.37	1.41
Daily turnover	82.8%	85.4%	78.4%
Alpha	0.17	0.24	0.07
Beta	1.87	1.88	1.77

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	42.46	2015-05-21	2016-01-19	2016-05-25	265
1	15.80	2016-06-08	2016-06-27	2016-08-15	49
2	14.07	2017-02-15	2017-04-19	2017-07-13	107
3	9.74	2016-09-30	2016-11-03	2016-11-09	29
4	7.53	2016-08-15	2016-09-13	2016-09-30	35

Stress Events	mean	min	max
Fall2015	-0.27%	-7.32%	6.83%
New Normal	0.13%	-9.44%	9.05%

Top 10 long positions of all time	max
sid
GLNG	6.36%
ALNY	5.92%
NKTR	5.89%
TEX	5.30%
ATI	5.24%
EXAS	5.21%
CXW	5.17%
IMMU	5.16%
VRX	5.15%
NVDA	5.08%

Top 10 positions of all time	max
sid
GLNG	6.36%
ALNY	5.92%
NKTR	5.89%
TEX	5.30%
ATI	5.24%
EXAS	5.21%
CXW	5.17%
IMMU	5.16%
VRX	5.15%
NVDA	5.08%

PF Optimization: HRP vs Markowitz and Equal-Weighted Positions¶

Imports & Settings¶

Load zipline extensions¶

Logging Setup¶

Algo Params¶

Load Data¶

Quandl Wiki Bundel¶

ML Predictions¶

Define Custom Dataset¶

Define Pipeline Loaders¶

Pipeline Setup¶

Custom ML Factor¶

Create Pipeline¶

Get daily Pipeline results¶

Define Rebalancing Logic¶

Equal Weights¶

Markowitz Mean-Variance Optimization¶

Hierarchical Risk Parity¶

Record Additional Data Points¶

Initialize Algorithm with PF optimization algorithm¶

Select portfolio optimization algorithm¶

Schedule rebalancing using selected algo¶

Run trading algorithm for each PF optimization approach¶

Persist experiment results¶

Comparing results using pyfolio¶

Load benchmark¶

Cumulative Returns & Rolling Sharpe Ratios¶

Tear Sheets¶

Equal Weighted¶

HRP¶

Markowitz¶

Summary stats	All trades	Short trades	Long trades
Total number of round_trips	11809.00	32.00	11777.00
Percent profitable	0.53	0.56	0.53
Winning round_trips	6201.00	18.00	6183.00
Losing round_trips	5531.00	14.00	5517.00
Even round_trips	77.00	0.00	77.00

PnL stats	All trades	Short trades	Long trades
Total profit	$153654.61	$-1199.52	$154854.13
Gross profit	$882707.60	$2360.82	$880346.78
Gross loss	$-729053.00	$-3560.34	$-725492.66
Profit factor	$1.21	$0.66	$1.21
Avg. trade net profit	$13.01	$-37.49	$13.15
Avg. winning trade	$142.35	$131.16	$142.38
Avg. losing trade	$-131.81	$-254.31	$-131.50
Ratio Avg. Win:Avg. Loss	$1.08	$0.52	$1.08
Largest winning trade	$4015.28	$321.93	$4015.28
Largest losing trade	$-3538.75	$-912.87	$-3538.75

Duration stats	All trades	Short trades	Long trades
Avg duration	3 days 13:18:22.652468	19 days 11:58:07.500000	3 days 12:15:59.533242
Median duration	3 days 00:00:00	4 days 00:00:00	3 days 00:00:00
Longest duration	246 days 04:00:01	140 days 01:00:00	246 days 04:00:01
Shortest duration	0 days 03:00:01	1 days 00:00:00	0 days 03:00:01

Return stats	All trades	Short trades	Long trades
Avg returns all round_trips	0.01%	-0.02%	0.01%
Avg returns winning	0.11%	0.09%	0.11%
Avg returns losing	-0.10%	-0.16%	-0.10%
Median returns all round_trips	0.00%	0.02%	0.00%
Median returns winning	0.06%	0.08%	0.06%
Median returns losing	-0.06%	-0.10%	-0.06%
Largest winning trade	2.96%	0.20%	2.96%
Largest losing trade	-3.21%	-0.61%	-3.21%

Profitability (PnL / PnL total) per name
symbol
IMMU	5.57%
ALNY	4.44%
MDR	3.68%
HRTX	3.54%
OAS	2.69%
AMD	2.62%
GLNG	2.62%
TROX	2.40%
EXEL	2.29%
TEX	2.17%
FOLD	2.10%
NAV	2.02%
WLL	1.96%
PODD	1.95%
NEM	1.85%
RES	1.85%
SM	1.80%
SGMS	1.74%
PTEN	1.66%
WMB	1.57%
MTZ	1.55%
ABMD	1.52%
STMP	1.51%
MUR	1.48%
THC	1.44%
OLED	1.44%
CAR	1.34%
CHK	1.31%
SKX	1.22%
EGN	1.19%
VG	1.19%
REGN	1.16%
SEB	1.12%
MU	1.12%
XPO	1.11%
TRN	1.10%
X	1.08%
HUN	1.04%
CRS	1.04%
FIZZ	1.02%
RGLD	1.01%
ALXN	1.00%
BID	1.00%
CVI	0.94%
GDOT	0.91%
STX	0.89%
DISCA	0.88%
NUS	0.86%
NRG	0.85%
S	0.85%
MAT	0.83%
ENV	0.83%
MRVL	0.78%
AEL	0.76%
LB	0.75%
FL	0.75%
PENN	0.74%
WYNN	0.73%
NOV	0.72%
SF	0.72%
HP	0.71%
WWW	0.69%
NUVA	0.68%
CFX	0.68%
JBLU	0.68%
HLF	0.67%
KSS	0.67%
CNC	0.67%
DY	0.67%
HRG	0.66%
VRNT	0.65%
FNB	0.63%
LGND	0.63%
CPA	0.63%
DISCK	0.62%
TSLA	0.60%
LHCG	0.58%
SHOO	0.58%
HAL	0.58%
OLN	0.58%
HFC	0.57%
AET	0.57%
ULTI	0.56%
HOMB	0.56%
SBRA	0.55%
EQT	0.53%
CREE	0.53%
WDC	0.52%
AMP	0.51%
DECK	0.51%
AYI	0.50%
RDN	0.50%
MMS	0.49%
EVR	0.49%
LLY	0.49%
SBNY	0.49%
ROLL	0.48%
CF	0.48%
DKS	0.48%
LRCX	0.47%
PB	0.47%
GNRC	0.47%
HELE	0.47%
NVDA	0.46%
IDCC	0.46%
TPX	0.46%
CNO	0.46%
FFBC	0.46%
VLO	0.46%
MDSO	0.46%
AMED	0.45%
WLK	0.43%
JBT	0.43%
MOH	0.42%
ENR	0.42%
UAL	0.41%
ILMN	0.41%
NFLX	0.41%
TDG	0.40%
ATVI	0.40%
ZBRA	0.39%
LAZ	0.38%
WWE	0.38%
CY	0.38%
PAY	0.38%
MNST	0.38%
WAFD	0.37%
SIVB	0.37%
GOLD	0.37%
ARNC	0.37%
SNX	0.36%
FNF	0.36%
CGNX	0.35%
HPP	0.35%
LFUS	0.35%
KW	0.35%
THS	0.35%
ALB	0.35%
Y	0.35%
AVGO	0.34%
WAB	0.34%
TSN	0.34%
NUAN	0.33%
DAR	0.33%
SKYW	0.33%
SLAB	0.33%
IBKR	0.33%
ASGN	0.33%
NTCT	0.33%
JCOM	0.33%
WBS	0.32%
CTL	0.32%
FSLR	0.31%
URI	0.31%
FFIN	0.31%
SBGI	0.31%
OSK	0.31%
CRM	0.31%
GT	0.31%
EBIX	0.31%
AAP	0.30%
KNX	0.30%
NCR	0.30%
FLT	0.30%
NFX	0.30%
ULTA	0.30%
ATHN	0.29%
TER	0.29%
OI	0.29%
LUV	0.28%
WAL	0.28%
DPZ	0.28%
WCN	0.28%
TRV	0.28%
HES	0.28%
UMBF	0.27%
LAMR	0.27%
CVLT	0.26%
DAN	0.26%
GPT	0.26%
TAL	0.26%
DNB	0.26%
HOG	0.26%
TMUS	0.26%
ORLY	0.26%
OZRK	0.26%
WCC	0.25%
CPB	0.25%
GPS	0.25%
AZO	0.24%
DFS	0.24%
RMD	0.24%
MCHP	0.24%
VGR	0.24%
DAL	0.24%
SCG	0.24%
THG	0.23%
STL	0.23%
DLB	0.23%
FTNT	0.23%
BG	0.23%
MTG	0.23%
BLKB	0.23%
SUI	0.23%
PBCT	0.22%
WEN	0.22%
ASH	0.22%
SLM	0.22%
CVBF	0.22%
DRH	0.22%
BAH	0.22%
R	0.22%
MYL	0.22%
HOLX	0.22%
FOXA	0.22%
CUZ	0.22%
AGCO	0.22%
XRX	0.21%
EOG	0.21%
WGL	0.21%
OHI	0.21%
NVR	0.21%
POOL	0.21%
CDNS	0.20%
BOH	0.20%
SCHW	0.20%
CB	0.20%
LSTR	0.20%
PRI	0.20%
NKE	0.20%
HR	0.20%
AGO	0.20%
FULT	0.20%
AIV	0.19%
ERIE	0.19%
ACXM	0.19%
MLM	0.19%
VC	0.19%
SNA	0.19%
HHC	0.19%
CA	0.19%
REG	0.19%
ICUI	0.19%
MKTX	0.19%
SNV	0.19%
MMSI	0.19%
CACC	0.18%
ITRI	0.18%
CAG	0.18%
TXT	0.18%
RP	0.18%
IIVI	0.18%
PEGA	0.18%
JLL	0.18%
BCO	0.18%
SEIC	0.18%
CTXS	0.18%
PFG	0.17%
AIG	0.17%
VMC	0.16%
TKR	0.16%
GPC	0.16%
PACW	0.16%
MDLZ	0.16%
ALL	0.16%
UNH	0.16%
CAVM	0.16%
CBSH	0.15%
LANC	0.15%
RF	0.15%
TTWO	0.15%
DCI	0.15%
BWA	0.15%
A	0.15%
ROP	0.15%
MS	0.15%
IART	0.15%
PCG	0.15%
AAL	0.14%
SEE	0.14%
CLNY	0.14%
KMPR	0.14%
BK	0.14%
IPGP	0.14%
CI	0.14%
TFX	0.14%
TXRH	0.14%
DVA	0.14%
HSIC	0.14%
BBBY	0.14%
DLR	0.14%
KEX	0.14%
BP	0.13%
BKH	0.13%
KO	0.13%
COST	0.13%
PNM	0.13%
PNFP	0.13%
EW	0.13%
AVT	0.13%
CHFC	0.13%
UMPQ	0.13%
PCAR	0.13%
COHR	0.13%
PEB	0.13%
CL	0.12%
ITT	0.12%
CRI	0.12%
BDX	0.12%
CINF	0.12%
EXPE	0.12%
AEP	0.12%
CERN	0.12%
MASI	0.12%
INGR	0.12%
FE	0.12%
COLM	0.12%
BBT	0.12%
PCH	0.11%
IVZ	0.11%
TMO	0.11%
ANTM	0.11%
CATY	0.11%
OXY	0.11%
TIF	0.11%
VLY	0.11%
DXCM	0.11%
F	0.11%
PDM	0.11%
YUM	0.11%
IBKC	0.11%
PKI	0.11%
LLL	0.11%
QDEL	0.11%
WM	0.11%
CASY	0.11%
STT	0.11%
RE	0.10%
ZBH	0.10%
GPN	0.10%
MTN	0.10%
HIW	0.10%
BAX	0.10%
TRI	0.10%
CCOI	0.10%
STLD	0.10%
VVC	0.10%
TCO	0.10%
SBAC	0.10%
BSX	0.10%
RHI	0.10%
DRI	0.10%
NTAP	0.10%
EL	0.10%
EDR	0.10%
FIBK	0.10%
LEG	0.10%
EWBC	0.09%
MSCI	0.09%
ADP	0.09%
UBSH	0.09%
SHO	0.09%
EXP	0.09%
CIEN	0.09%
STZ	0.09%
DEI	0.09%
XOM	0.09%
GWW	0.09%
BC	0.09%
CIM	0.09%
UNM	0.09%
HAS	0.09%
BRKR	0.09%
HRS	0.09%
ETR	0.09%
UFS	0.09%
AN	0.09%
PII	0.09%
NDSN	0.09%
JACK	0.09%
CSFL	0.09%
SAM	0.09%
CHE	0.09%
COF	0.09%
BLL	0.09%
CLH	0.08%
BBY	0.08%
EME	0.08%
NI	0.08%
ZION	0.08%
AGN	0.08%
ABT	0.08%
CBU	0.08%
NEOG	0.08%
RBC	0.08%
USM	0.08%
GE	0.08%
CMA	0.08%
NEU	0.08%
NYT	0.08%
BGCP	0.08%
BMS	0.08%
WBC	0.08%
HPQ	0.08%
LEN	0.08%
ISBC	0.07%
VRSK	0.07%
JWN	0.07%
UAA	0.07%
BAC	0.07%
HCP	0.07%
CAT	0.07%
B	0.07%
RCL	0.07%
PNR	0.07%
SSD	0.07%
SJM	0.07%
BCPC	0.07%
INCY	0.07%
JCI	0.07%
NJR	0.07%
WMT	0.07%
HE	0.07%
FCNCA	0.07%
TTC	0.07%
KSU	0.07%
EMR	0.07%
MDT	0.07%
IGT	0.07%
GIS	0.06%
SIGI	0.06%
BXS	0.06%
PNC	0.06%
CNK	0.06%
CXO	0.06%
FAST	0.06%
LKQ	0.06%
KEY	0.06%
UNF	0.06%
IPG	0.06%
AMGN	0.06%
EXR	0.06%
RHT	0.06%
L	0.06%
CVS	0.06%
NDAQ	0.06%
ODFL	0.06%
LOPE	0.06%
SIRI	0.06%
PX	0.06%
SFNC	0.05%
ATO	0.05%
MCD	0.05%
FHN	0.05%
CMS	0.05%
NHI	0.05%
MSG	0.05%
THO	0.05%
HON	0.05%
CMCSA	0.05%
PEP	0.05%
MCK	0.05%
VZ	0.05%
UCBI	0.05%
WRB	0.05%
ESS	0.05%
CCL	0.05%
DLTR	0.05%
WFC	0.05%
FFIV	0.05%
AEE	0.05%
DCT	0.05%
ESRX	0.05%
TSCO	0.05%
AMAT	0.05%
NEE	0.05%
CMI	0.04%
WU	0.04%
MANH	0.04%
LMT	0.04%
CLR	0.04%
STWD	0.04%
TDC	0.04%
HD	0.04%
MMM	0.04%
JKHY	0.04%
MA	0.04%
DTE	0.04%
MSI	0.04%
EMN	0.04%
DOV	0.04%
TECD	0.04%
HCSG	0.04%
MCO	0.04%
KR	0.04%
AOS	0.04%
TWO	0.04%
FLIR	0.04%
GWR	0.04%
UTX	0.03%
BOKF	0.03%
ALKS	0.03%
AJG	0.03%
HSY	0.03%
HST	0.03%
ADBE	0.03%
ATR	0.03%
VRSN	0.03%
IRM	0.03%
MBFI	0.03%
JNPR	0.03%
NLY	0.03%
AIZ	0.03%
RHP	0.03%
CAH	0.03%
TROW	0.03%
SMTC	0.03%
CR	0.03%
EXPD	0.03%
DHR	0.03%
TOL	0.03%
AON	0.03%
SPR	0.03%
DO	0.02%
WMGI	0.02%
PWR	0.02%
NWL	0.02%
AMG	0.02%
FISV	0.02%
GVA	0.02%
SMG	0.02%
MIDD	0.02%
RYN	0.02%
FMBI	0.02%
CNP	0.02%
RS	0.02%
SYMC	0.02%
BRO	0.02%
SON	0.02%
CW	0.02%
MO	0.02%
LBTYA	0.02%
VOD	0.02%
OFC	0.02%
TXN	0.02%
SBUX	0.02%
AMZN	0.02%
EQR	0.02%
CSGP	0.02%
FRT	0.02%
MKC	0.02%
DOX	0.02%
PM	0.02%
ORCL	0.02%
KIM	0.02%
PFE	0.02%
WRI	0.02%
FDS	0.01%
ICE	0.01%
RGA	0.01%
IR	0.01%
BMY	0.01%
SHW	0.01%
XLNX	0.01%
MAC	0.01%
PLT	0.01%
LECO	0.01%
PGR	0.01%
PSA	0.01%
FR	0.01%
LSI	0.01%
CHRW	0.01%
TRMB	0.01%
PRU	0.01%
SIX	0.01%
CNA	0.01%
MFA	0.01%
VMW	0.01%
DUK	0.01%
PAYX	0.01%
DPS	0.01%
IDA	0.01%
SLG	0.01%
SWX	0.01%
RTN	0.01%
APD	0.00%
BR	0.00%
RJF	0.00%
CLX	0.00%
OGE	0.00%
TECH	0.00%
LHO	0.00%
CBT	0.00%
PNW	0.00%
EBS	0.00%
ED	0.00%
FDX	0.00%
INTU	0.00%
IDXX	0.00%
ANSS	0.00%
BIDU	0.00%
UGI	-0.00%
SYK	-0.00%
SYY	-0.00%
ADSK	-0.00%
NBL	-0.00%
LNT	-0.00%
WST	-0.00%
AME	-0.00%
CBOE	-0.00%
KS	-0.01%
SSNC	-0.01%
MAS	-0.01%
NATI	-0.01%
D	-0.01%
CCK	-0.01%
AXP	-0.01%
MTD	-0.01%
PKG	-0.01%
MKL	-0.01%
LDOS	-0.01%
WEC	-0.01%
NWE	-0.01%
VFC	-0.01%
MXIM	-0.01%
POR	-0.01%
TCBI	-0.01%
SXT	-0.01%
ISRG	-0.01%
ROST	-0.01%
WTR	-0.01%
T	-0.01%
SE	-0.01%
NTRS	-0.02%
HRC	-0.02%
PG	-0.02%
BECN	-0.02%
JPM	-0.02%
ALGN	-0.02%
AGNC	-0.02%
SLGN	-0.02%
NUE	-0.02%
AMT	-0.02%
MDP	-0.02%
WEX	-0.02%
NSC	-0.02%
KLAC	-0.02%
PRGO	-0.02%
JNJ	-0.02%
SATS	-0.02%
EXC	-0.02%
HXL	-0.02%
TDY	-0.02%
SLB	-0.02%
VTR	-0.02%
TMK	-0.02%
VAR	-0.02%
CTAS	-0.02%
TGT	-0.03%
TDS	-0.03%
HBI	-0.03%
V	-0.03%
ADI	-0.03%
WBA	-0.03%
GM	-0.03%
FITB	-0.03%
K	-0.03%
PH	-0.03%
KRO	-0.03%
HI	-0.03%
XEL	-0.03%
GILD	-0.03%
VSH	-0.03%
GOOGL	-0.03%
UHAL	-0.03%
STE	-0.03%
COG	-0.03%
DRE	-0.04%
SPG	-0.04%
PEG	-0.04%
C	-0.04%
CHH	-0.04%
LOW	-0.04%
GRMN	-0.04%
EV	-0.04%
ADM	-0.04%
USB	-0.04%
FICO	-0.04%
ITW	-0.04%
HUM	-0.04%
SRE	-0.04%
RPM	-0.04%
HIG	-0.04%
SCI	-0.04%
GD	-0.04%
DGX	-0.04%
LII	-0.04%
NYCB	-0.04%
ANAT	-0.04%
CBRL	-0.05%
STI	-0.05%
COR	-0.05%
RL	-0.05%
ORA	-0.05%
BLK	-0.05%
CTSH	-0.05%
CVX	-0.05%
MGLN	-0.05%
PXD	-0.05%
BIIB	-0.05%
ROL	-0.05%
BIO	-0.05%
FLS	-0.05%
UNP	-0.05%
CFR	-0.05%
ENS	-0.05%
ACGL	-0.05%
LPX	-0.05%
CHKP	-0.05%
AFG	-0.06%
FUL	-0.06%
TSS	-0.06%
MPW	-0.06%
EPR	-0.06%
WY	-0.06%
CUBE	-0.06%
HRL	-0.06%
WTS	-0.06%
GNTX	-0.06%
MORN	-0.06%
H	-0.06%
EQIX	-0.06%
AVX	-0.07%
MET	-0.07%
QCOM	-0.07%
CAKE	-0.07%
LNC	-0.07%
TAP	-0.07%
ACN	-0.07%
ACIW	-0.07%
BXP	-0.07%
DHI	-0.07%
JJSF	-0.07%
ARE	-0.07%
EXPO	-0.07%
CLGX	-0.07%
VNO	-0.07%
CHD	-0.07%
EA	-0.07%
RNR	-0.07%
WERN	-0.07%
KRC	-0.08%
WWD	-0.08%
MTX	-0.08%
UDR	-0.08%
MAN	-0.08%
JBHT	-0.08%
ALE	-0.08%
WTM	-0.08%
EGP	-0.08%
MAR	-0.08%
ACM	-0.08%
KMB	-0.08%
GBCI	-0.08%
TREE	-0.08%
PPL	-0.09%
CRL	-0.09%
TEL	-0.09%
HEI	-0.09%
USG	-0.09%
LYB	-0.09%
G	-0.09%
CPRT	-0.09%
BMRN	-0.10%
HAE	-0.10%
COP	-0.10%
SRCL	-0.10%
POL	-0.10%
TFSL	-0.10%
LYV	-0.10%
AWK	-0.10%
BA	-0.10%
DE	-0.10%
PVH	-0.10%
DVN	-0.11%
PSB	-0.11%
WOR	-0.11%
WTFC	-0.11%
WHR	-0.11%
PHM	-0.11%
NOC	-0.11%
UHS	-0.11%
HBAN	-0.11%
MOS	-0.11%
FAF	-0.11%
EE	-0.12%
EEFT	-0.12%
FOX	-0.12%
CHDN	-0.12%
AMTD	-0.12%
XRAY	-0.12%
ELS	-0.12%
CE	-0.12%
GHC	-0.12%
FMC	-0.12%
AVY	-0.12%
FLO	-0.12%
MYGN	-0.12%
UPS	-0.13%
DISH	-0.13%
MDU	-0.13%
ENTG	-0.13%
ADS	-0.13%
DLX	-0.13%
CIT	-0.13%
BEN	-0.14%
MPWR	-0.14%
VMI	-0.14%
OMC	-0.14%
CHTR	-0.15%
PLD	-0.15%
SCCO	-0.15%
GPK	-0.15%
ALK	-0.15%
NNI	-0.15%
TYL	-0.16%
BYD	-0.16%
BDN	-0.16%
M	-0.17%
MAA	-0.17%
OC	-0.17%
ARW	-0.17%
EBAY	-0.17%
WSO	-0.17%
KMT	-0.17%
NBIX	-0.18%
SWK	-0.18%
MCY	-0.18%
FLR	-0.18%
PSMT	-0.18%
FTI	-0.18%
CACI	-0.18%
LPLA	-0.19%
SYNT	-0.19%
WSM	-0.19%
AAPL	-0.19%
MSM	-0.20%
COLB	-0.20%
NXST	-0.20%
FCFS	-0.20%
OKE	-0.20%
SJI	-0.20%
ABC	-0.20%
LEA	-0.20%
IBOC	-0.21%
INTC	-0.21%
AKAM	-0.21%
GS	-0.21%
KAR	-0.21%
IBM	-0.22%
NFG	-0.22%
DG	-0.22%
ACC	-0.23%
UBSI	-0.23%
VIAB	-0.23%
TTEK	-0.24%
ETFC	-0.24%
JEC	-0.24%
CCMP	-0.24%
GGP	-0.24%
CPT	-0.24%
MSA	-0.25%
KMX	-0.25%
MD	-0.25%
SWKS	-0.26%
ONB	-0.26%
JBL	-0.26%
O	-0.26%
CMC	-0.26%
CXW	-0.26%
VSAT	-0.27%
FIS	-0.28%
ETN	-0.29%
MKSI	-0.29%
LM	-0.29%
CSX	-0.29%
COO	-0.30%
SNH	-0.30%
RLI	-0.31%
WCG	-0.31%
UTHR	-0.31%
PPC	-0.32%
FNGN	-0.32%
ARRS	-0.33%
EXAS	-0.33%
PAG	-0.34%
NSP	-0.34%
VRTX	-0.36%
TREX	-0.37%
IDTI	-0.38%
SEM	-0.38%
ESGR	-0.39%
MRO	-0.40%
AEO	-0.41%
SFLY	-0.42%
AWI	-0.42%
URBN	-0.43%
VR	-0.43%
XEC	-0.44%
AZPN	-0.44%
APC	-0.47%
AHL	-0.47%
HAIN	-0.49%
USNA	-0.50%
CMG	-0.50%
AXS	-0.51%
XL	-0.51%
GEO	-0.53%
OII	-0.54%
HALO	-0.54%
EIX	-0.55%
PDCE	-0.56%
DK	-0.56%
MDCO	-0.57%
ESV	-0.57%
DDS	-0.58%
KBR	-0.58%
CELG	-0.60%
KFY	-0.61%
EFX	-0.62%
HRB	-0.64%
SGEN	-0.64%
LVS	-0.65%
LOGM	-0.65%
ARRY	-0.73%
BDC	-0.80%
CCE	-0.81%
AAN	-0.87%
SIG	-0.88%
LNG	-0.89%
IRWD	-0.92%
MGM	-0.94%
RIG	-0.95%
APA	-0.97%
BPOP	-1.11%
GTT	-1.16%
NKTR	-1.16%
TRGP	-1.38%
AFSI	-1.41%
VRX	-1.41%
RRC	-1.57%
OPK	-1.74%
CNX	-2.03%
BOFI	-2.15%
FCX	-2.35%
SWN	-2.42%
ATI	-2.88%
CLF	-3.31%

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	35.43	2015-06-23	2016-01-20	2016-11-15	366
1	9.89	2017-03-01	2017-03-21	2017-07-14	98
2	8.42	2015-02-18	2015-03-10	2015-04-08	36
3	6.78	2017-09-01	2017-09-07	2017-10-16	32
4	6.75	2015-01-08	2015-01-15	2015-01-27	14

Top 10 long positions of all time	max
sid
DHR	52.47%
RNR	41.26%
STWD	39.77%
ACGL	34.90%
CLX	33.05%
AIV	32.47%
ANAT	32.11%
MAA	31.25%
TWO	30.55%
TCO	29.70%

Summary stats	All trades	Short trades	Long trades
Total number of round_trips	12701.00	44.00	12657.00
Percent profitable	0.52	0.66	0.52
Winning round_trips	6575.00	29.00	6546.00
Losing round_trips	6044.00	15.00	6029.00
Even round_trips	82.00	0.00	82.00

PnL stats	All trades	Short trades	Long trades
Total profit	$96210.88	$-1405.02	$97615.90
Gross profit	$700392.70	$2047.17	$698345.52
Gross loss	$-604181.82	$-3452.19	$-600729.63
Profit factor	$1.16	$0.59	$1.16
Avg. trade net profit	$7.58	$-31.93	$7.71
Avg. winning trade	$106.52	$70.59	$106.68
Avg. losing trade	$-99.96	$-230.15	$-99.64
Ratio Avg. Win:Avg. Loss	$1.07	$0.31	$1.07
Largest winning trade	$2978.25	$247.04	$2978.25
Largest losing trade	$-4817.28	$-825.93	$-4817.28

Duration stats	All trades	Short trades	Long trades
Avg duration	3 days 09:59:49.231005	27 days 11:28:38.181818	3 days 07:59:22.172947
Median duration	2 days 00:00:00	9 days 00:00:00	2 days 00:00:00
Longest duration	246 days 04:00:01	221 days 01:00:00	246 days 04:00:01
Shortest duration	0 days 03:00:01	1 days 00:00:00	0 days 03:00:01

	All	In-sample	Out-of-sample
Start date	2015-01-02
End date	2017-12-28
In-sample months	24
Out-of-sample months	11
Annual return	20.6%	15.4%	31.8%
Cumulative returns	75.1%	33.1%	31.6%
Annual volatility	27.1%	30.9%	16.9%
Sharpe ratio	0.83	0.62	1.72
Calmar ratio	0.58	0.43	3.22
Stability	0.60	0.01	0.81
Max drawdown	-35.4%	-35.4%	-9.9%
Omega ratio	1.17	1.12	1.36
Sortino ratio	1.21	0.91	2.50
Skew	-0.06	-0.00	-0.57
Kurtosis	2.81	1.84	3.49
Tail ratio	1.12	1.15	1.19
Daily value at risk	-3.3%	-3.8%	-2.0%
Gross leverage	1.44	1.44	1.44
Daily turnover	91.8%	93.3%	89.2%
Alpha	0.06	0.11	-0.01
Beta	1.67	1.68	1.61

	All	In-sample	Out-of-sample
Start date	2015-01-02
End date	2017-12-28
In-sample months	24
Out-of-sample months	11
Annual return	55.3%	36.7%	100.7%
Cumulative returns	273.1%	86.9%	99.6%
Annual volatility	41.5%	44.7%	34.1%
Sharpe ratio	1.27	0.92	2.22
Calmar ratio	1.22	0.81	6.61
Stability	0.87	0.65	0.88
Max drawdown	-45.4%	-45.4%	-15.2%
Omega ratio	1.28	1.19	1.53
Sortino ratio	1.94	1.39	3.56
Skew	0.19	0.18	0.28
Kurtosis	4.70	4.10	5.63
Tail ratio	1.09	1.01	1.40
Daily value at risk	-5.0%	-5.5%	-4.0%
Gross leverage	1.47	1.49	1.42
Daily turnover	98.6%	99.6%	97.0%
Alpha	0.44	0.39	0.46
Beta	1.68	1.65	2.02

Worst drawdown periods	Net drawdown in %	Peak date	Valley date	Recovery date	Duration
0	45.42	2015-11-25	2016-02-08	2016-11-09	251
1	25.48	2015-08-04	2015-08-24	2015-10-15	53
2	20.35	2015-01-08	2015-01-30	2015-05-08	87
3	17.52	2015-10-15	2015-10-22	2015-11-18	25
4	15.24	2017-02-22	2017-04-13	2017-06-28	91

Profitability (PnL / PnL total) per name
symbol
NEM	4.28%
FIZZ	2.90%
LHCG	2.79%
IMMU	2.62%
TEX	2.47%
STX	2.43%
AET	2.39%
PODD	2.20%
OLED	2.14%
ABMD	2.09%
PTEN	2.07%
WMB	2.01%
HUN	1.92%
MDR	1.79%
HRG	1.76%
STMP	1.76%
XPO	1.72%
HRTX	1.70%
SEB	1.69%
GLNG	1.66%
CRS	1.64%
DISCA	1.63%
TDG	1.62%
ALXN	1.61%
VG	1.59%
PENN	1.55%
MTZ	1.55%
ENV	1.52%
WWW	1.52%
GDOT	1.48%
SF	1.46%
REGN	1.45%
TSN	1.45%
VRNT	1.45%
NUS	1.42%
CFX	1.42%
ROLL	1.38%
SKX	1.38%
WCN	1.35%
RES	1.31%
TRN	1.30%
DAR	1.29%
RGLD	1.27%
HFC	1.27%
SHOO	1.26%
WGL	1.25%
MUR	1.24%
JBT	1.24%
CNC	1.24%
AEL	1.23%
VLO	1.23%
EGN	1.22%
LFUS	1.19%
LB	1.17%
MRVL	1.16%
ALNY	1.15%
EXEL	1.15%
BID	1.15%
FSLR	1.13%
LLY	1.12%
FNF	1.11%
HPP	1.10%
AYI	1.09%
BG	1.09%
CPA	1.09%
DNB	1.09%
CREE	1.07%
NOV	1.06%
FOLD	1.06%
THC	1.04%
TMUS	1.03%
GWW	1.01%
RDN	1.01%
DLB	1.00%
TCO	1.00%
CVI	1.00%
NUVA	0.98%
WYNN	0.97%
WDC	0.96%
HOLX	0.95%
ATVI	0.94%
SCG	0.92%
NCR	0.92%
AZO	0.92%
LAMR	0.91%
CIM	0.91%
CLR	0.90%
MU	0.90%
MNST	0.89%
KNX	0.89%
AMED	0.89%
UHS	0.89%
LUV	0.88%
FTNT	0.88%
Y	0.86%
ULTI	0.84%
WLK	0.84%
GNRC	0.84%
LGND	0.83%
IDCC	0.82%
JBLU	0.81%
WMGI	0.81%
DISCK	0.80%
NUAN	0.80%
SNX	0.80%
WBS	0.79%
CNO	0.79%
BAH	0.78%
CAR	0.78%
WLL	0.78%
UAL	0.78%
NVDA	0.78%
RMD	0.77%
MMS	0.77%
NTCT	0.76%
EQT	0.75%
DLR	0.75%
HAL	0.74%
VGR	0.74%
DY	0.73%
GOLD	0.72%
CRM	0.71%
RP	0.70%
CHK	0.70%
LRCX	0.70%
NKE	0.69%
JCOM	0.69%
TSLA	0.69%
NFLX	0.69%
SLAB	0.69%
OAS	0.68%
FNB	0.68%
HELE	0.67%
SLM	0.67%
SUI	0.67%
MDSO	0.66%
ALL	0.66%
VMC	0.65%
LAZ	0.65%
JACK	0.64%
DPZ	0.64%
SGMS	0.63%
DFS	0.62%
ULTA	0.62%
WAB	0.61%
ICUI	0.61%
KW	0.61%
TRV	0.60%
LANC	0.60%
BDX	0.60%
JCI	0.59%
FLT	0.59%
ROP	0.58%
PII	0.58%
CASY	0.58%
TXRH	0.57%
CPB	0.57%
ASGN	0.56%
AIV	0.56%
MOH	0.56%
DAN	0.55%
IGT	0.55%
EVR	0.55%
PDM	0.55%
GT	0.55%
AMP	0.55%
OKE	0.55%
ITRI	0.55%
ORLY	0.54%
PCG	0.54%
PAY	0.54%
AAP	0.54%
DRH	0.54%
ARNC	0.54%
ERIE	0.54%
REG	0.53%
NVR	0.53%
COST	0.52%
HIW	0.52%
XRX	0.52%
UNF	0.51%
CA	0.51%
OI	0.51%
VC	0.51%
ACXM	0.51%
CXO	0.50%
RF	0.50%
CVLT	0.50%
ALB	0.50%
KO	0.49%
LLL	0.49%
LSTR	0.49%
WEN	0.48%
GPC	0.48%
ESRX	0.48%
SHO	0.47%
MAT	0.47%
GPS	0.47%
TER	0.46%
MMSI	0.46%
GPT	0.46%
CY	0.45%
AGCO	0.44%
GIS	0.44%
INCY	0.44%
HLF	0.44%
CDNS	0.43%
TRI	0.43%
AIG	0.43%
CB	0.43%
YUM	0.43%
BRKR	0.43%
ICE	0.42%
IBKR	0.42%
WAL	0.42%
FL	0.42%
SBNY	0.42%
HUM	0.41%
PEGA	0.41%
TREE	0.41%
ADP	0.41%
FOXA	0.41%
DXCM	0.40%
OSK	0.40%
OLN	0.40%
AVGO	0.40%
S	0.39%
AVT	0.38%
BMRN	0.38%
THS	0.38%
PVH	0.37%
TXT	0.37%
MASI	0.37%
IART	0.37%
CGNX	0.36%
BCO	0.36%
OHI	0.36%
STL	0.36%
SNA	0.36%
WAFD	0.36%
TFX	0.36%
PNM	0.36%
HES	0.36%
BLKB	0.35%
LEG	0.35%
CMCSA	0.35%
CI	0.35%
X	0.35%
NTAP	0.35%
POOL	0.35%
MYL	0.34%
ASH	0.34%
ILMN	0.34%
CLH	0.34%
GE	0.33%
WWE	0.33%
BBBY	0.33%
HOG	0.33%
BGCP	0.33%
HST	0.33%
PCH	0.33%
AEP	0.32%
HP	0.32%
FR	0.32%
PRGO	0.32%
CSGP	0.31%
WM	0.31%
BP	0.31%
BSX	0.31%
TAL	0.31%
CHE	0.31%
PBCT	0.30%
FFBC	0.30%
JLL	0.30%
UBSH	0.30%
INGR	0.30%
CAG	0.29%
MCHP	0.29%
PACW	0.29%
HPQ	0.29%
SWX	0.29%
ZION	0.29%
PX	0.28%
CTL	0.28%
UFS	0.28%
SEIC	0.28%
CRI	0.28%
DAL	0.28%
MAC	0.28%
MA	0.28%
NLY	0.27%
A	0.27%
BC	0.27%
MOS	0.27%
KS	0.27%
RBC	0.27%
SBAC	0.27%
HR	0.26%
BMS	0.26%
HSIC	0.26%
HE	0.26%
NEU	0.26%
ZBH	0.25%
R	0.25%
EL	0.25%
BAX	0.25%
EOG	0.25%
MSG	0.25%
WEX	0.25%
MS	0.25%
DKS	0.25%
TKR	0.25%
DRI	0.25%
HRS	0.25%
TTWO	0.24%
MTN	0.24%
VRSK	0.24%
CVBF	0.24%
COHR	0.24%
UNM	0.24%
BLL	0.24%
STZ	0.24%
FE	0.24%
VZ	0.24%
MDLZ	0.23%
MKTX	0.23%
BBT	0.23%
SCHW	0.23%
SNV	0.23%
ALGN	0.23%
ABC	0.23%
CL	0.22%
IPGP	0.22%
BKH	0.22%
NJR	0.22%
FFIN	0.22%
MCD	0.22%
PRI	0.22%
PCAR	0.22%
UNH	0.21%
ETR	0.21%
ZBRA	0.21%
DEI	0.21%
SJM	0.21%
STLD	0.21%
WMT	0.21%
CAH	0.21%
MLM	0.20%
IVZ	0.20%
NWL	0.20%
CHFC	0.20%
FULT	0.20%
CNK	0.20%
NDAQ	0.20%
NYT	0.20%
TIF	0.20%
VLY	0.20%
EMR	0.20%
EDR	0.20%
PEB	0.20%
HHC	0.19%
SIRI	0.19%
TECD	0.19%
L	0.19%
VVC	0.18%
MCK	0.18%
AGN	0.18%
PFG	0.18%
DCI	0.17%
CTXS	0.17%
KMPR	0.17%
TMO	0.17%
FAST	0.17%
SEE	0.17%
MDT	0.17%
RIG	0.17%
NI	0.17%
SBRA	0.17%
ITT	0.17%
SIGI	0.17%
MANH	0.16%
BBY	0.16%
ANTM	0.16%
KSS	0.16%
PKI	0.16%
CBU	0.16%
BAC	0.16%
HAS	0.16%
CERN	0.16%
ENR	0.16%
EME	0.16%
F	0.15%
LEN	0.15%
JKHY	0.15%
EBIX	0.15%
LMT	0.15%
GM	0.15%
LBTYA	0.15%
MSCI	0.15%
UMBF	0.15%
BK	0.15%
JNPR	0.15%
ABT	0.15%
ISBC	0.14%
QDEL	0.14%
RHT	0.14%
STT	0.14%
BWA	0.14%
VTR	0.14%
NDSN	0.14%
SM	0.14%
MSI	0.14%
LOPE	0.13%
CATY	0.13%
EWBC	0.13%
KEX	0.13%
RHI	0.13%
SSD	0.13%
PEP	0.13%
HCSG	0.13%
AOS	0.13%
OZRK	0.12%
CLNY	0.12%
CSFL	0.12%
LKQ	0.12%
CMA	0.12%
WBC	0.12%
AXP	0.12%
KSU	0.12%
GBCI	0.12%
DTE	0.12%
STWD	0.12%
IRM	0.12%
MMM	0.12%
EMN	0.12%
PNC	0.12%
IPG	0.12%
XOM	0.12%
TPX	0.12%
FDS	0.12%
COR	0.11%
ATO	0.11%
DVA	0.11%
ATHN	0.11%
PNR	0.11%
IIVI	0.11%
BCPC	0.11%
COP	0.11%
B	0.11%
COG	0.11%
HD	0.11%
OXY	0.11%
ATR	0.10%
WRB	0.10%
EXR	0.10%
THO	0.10%
IBKC	0.10%
GPN	0.10%
AEE	0.10%
MCO	0.10%
CVS	0.10%
EXP	0.10%
PB	0.10%
SIVB	0.10%
AJG	0.10%
ODFL	0.10%
UMPQ	0.10%
PM	0.10%
AIZ	0.09%
SBGI	0.09%
ALKS	0.09%
SPR	0.09%
SKYW	0.09%
PNFP	0.09%
PLD	0.09%
CBSH	0.09%
TTC	0.09%
CMI	0.09%
AVY	0.09%
WTR	0.08%
COLM	0.08%
MTG	0.08%
PAYX	0.08%
CLX	0.08%
MDP	0.07%
CINF	0.07%
NRG	0.07%
TOL	0.07%
SGEN	0.07%
DPS	0.07%
NATI	0.07%
COF	0.07%
EQR	0.07%
WU	0.07%
BMY	0.07%
CMS	0.06%
AGO	0.06%
CNA	0.06%
DOX	0.06%
EXPD	0.06%
WFC	0.06%
FISV	0.06%
UCBI	0.06%
AMG	0.05%
CAT	0.05%
ADBE	0.05%
OFC	0.05%
CHRW	0.05%
CUZ	0.05%
MYGN	0.05%
TROW	0.05%
ESS	0.05%
BRO	0.05%
VOD	0.05%
CR	0.04%
FHN	0.04%
KEY	0.04%
DCT	0.04%
RE	0.04%
UTX	0.04%
FLO	0.04%
AON	0.04%
SON	0.04%
MKC	0.04%
CNP	0.04%
HOMB	0.04%
TECH	0.04%
TDC	0.04%
CCL	0.04%
SSNC	0.04%
TSCO	0.03%
MBFI	0.03%
EXPE	0.03%
GVA	0.03%
FCNCA	0.03%
MFA	0.03%
IR	0.03%
RS	0.03%
EW	0.03%
MAS	0.03%
SHW	0.03%
RHP	0.03%
CUBE	0.03%
FRT	0.03%
AAL	0.03%
CW	0.03%
SYMC	0.03%
INTU	0.03%
LSI	0.03%
LDOS	0.02%
PRU	0.02%
CACC	0.02%
PGR	0.02%
SBUX	0.02%
BXS	0.02%
RTN	0.02%
RGA	0.02%
AMGN	0.02%
TXN	0.02%
BOH	0.02%
CCK	0.01%
TGT	0.01%
STI	0.01%
ADSK	0.01%
KRO	0.01%
APD	0.01%
FDX	0.01%
FLS	0.01%
FUL	0.01%
IDA	0.01%
BR	0.01%
PFE	0.01%
WRI	0.01%
WCC	0.01%
PEG	0.01%
SFNC	0.01%
XLNX	0.01%
OGE	0.01%
PLT	0.00%
NUE	0.00%
LNT	0.00%
ED	0.00%
ANSS	0.00%
ENTG	-0.00%
SYK	-0.00%
AME	-0.00%
RJF	-0.00%
FLIR	-0.00%
ADI	-0.00%
NFX	-0.01%
FMBI	-0.01%
DRE	-0.01%
MTD	-0.01%
WTM	-0.01%
CBT	-0.01%
MO	-0.01%
MKL	-0.01%
LECO	-0.01%
MIDD	-0.01%
BIO	-0.02%
KIM	-0.02%
IDXX	-0.02%
WEC	-0.02%
SIX	-0.02%
ORCL	-0.02%
PWR	-0.02%
NEOG	-0.02%
NTRS	-0.03%
FITB	-0.03%
RL	-0.03%
AMZN	-0.03%
LNC	-0.03%
NWE	-0.03%
MXIM	-0.03%
SLGN	-0.03%
QCOM	-0.03%
DLTR	-0.03%
STE	-0.03%
GILD	-0.03%
SMTC	-0.03%
BOKF	-0.03%
HSY	-0.03%
TDY	-0.03%
SXT	-0.03%
AGNC	-0.03%
TCBI	-0.03%
TWO	-0.04%
BECN	-0.04%
DOV	-0.04%
PG	-0.04%
RYN	-0.04%
C	-0.04%
SLB	-0.04%
SAM	-0.04%
EPR	-0.05%
SATS	-0.05%
PNW	-0.05%
PH	-0.05%
KR	-0.05%
POR	-0.05%
FFIV	-0.05%
FIBK	-0.05%
D	-0.05%
HBAN	-0.05%
USB	-0.06%
HON	-0.06%
FICO	-0.06%
VFC	-0.06%
UNP	-0.06%
PXD	-0.06%
CHH	-0.06%
JPM	-0.06%
TMK	-0.06%
CTAS	-0.06%
T	-0.06%
LOW	-0.06%
SE	-0.06%
TDS	-0.06%
AN	-0.07%
SRE	-0.07%
RPM	-0.07%
WY	-0.07%
ARW	-0.07%
WST	-0.07%
SYY	-0.07%
NEE	-0.07%
UBSI	-0.07%
NYCB	-0.07%
CAVM	-0.08%
USM	-0.08%
ROST	-0.08%
DO	-0.08%
NSP	-0.08%
BXP	-0.08%
AVX	-0.08%
ACM	-0.08%
K	-0.08%
BLK	-0.08%
KRC	-0.09%
TRMB	-0.09%
CFR	-0.09%
BIIB	-0.09%
GS	-0.09%
GWR	-0.09%
ITW	-0.09%
MORN	-0.09%
NSC	-0.09%
TSS	-0.09%
V	-0.09%
ADM	-0.10%
ORA	-0.10%
FMC	-0.10%
SMG	-0.11%
WWD	-0.11%
VMI	-0.11%
CIT	-0.11%
ROL	-0.11%
ALK	-0.11%
MAR	-0.11%
MAN	-0.11%
CTSH	-0.12%
FOX	-0.12%
GRMN	-0.12%
HCP	-0.12%
HRC	-0.12%
EXPO	-0.12%
AMAT	-0.13%
URI	-0.13%
PKG	-0.13%
EV	-0.13%
GD	-0.13%
SCI	-0.13%
HI	-0.13%
AFG	-0.13%
PPL	-0.13%
MTX	-0.13%
VAR	-0.14%
UDR	-0.14%
SLG	-0.14%
RCL	-0.14%
GNTX	-0.14%
WHR	-0.14%
LII	-0.14%
CE	-0.14%
LYB	-0.14%
DHI	-0.14%
WTFC	-0.14%
XEL	-0.15%
WTS	-0.15%
EQIX	-0.15%
CHKP	-0.16%
HEI	-0.16%
SWKS	-0.16%
WERN	-0.16%
CRL	-0.16%
UTHR	-0.16%
LYV	-0.16%
PSA	-0.17%
AMT	-0.17%
THG	-0.17%
H	-0.18%
DGX	-0.18%
UHAL	-0.18%
HBI	-0.18%
ACN	-0.18%
EBAY	-0.18%
AWK	-0.18%
KLAC	-0.18%
POL	-0.18%
ISRG	-0.18%
UGI	-0.19%
FAF	-0.19%
PHM	-0.19%
VRTX	-0.19%
EGP	-0.19%
HALO	-0.20%
LPX	-0.20%
EBS	-0.20%
BYD	-0.21%
ALE	-0.21%
DHR	-0.21%
CBRL	-0.22%
ACIW	-0.22%
IBOC	-0.23%
FTI	-0.23%
MET	-0.23%
UPS	-0.23%
CBOE	-0.23%
NNI	-0.23%
MPWR	-0.24%
USG	-0.24%
KMB	-0.24%
TAP	-0.24%
EXC	-0.25%
JNJ	-0.25%
NBL	-0.25%
VSH	-0.26%
VRSN	-0.26%
WBA	-0.26%
COLB	-0.26%
MD	-0.26%
G	-0.27%
UAA	-0.27%
FLR	-0.27%
MSA	-0.27%
LHO	-0.27%
CVX	-0.27%
MDU	-0.27%
JBHT	-0.28%
AKAM	-0.28%
DECK	-0.28%
CCOI	-0.28%
LEA	-0.29%
DE	-0.29%
CHD	-0.29%
GEO	-0.29%
NBIX	-0.30%
DLX	-0.30%
BEN	-0.30%
JJSF	-0.31%
CPRT	-0.31%
DUK	-0.31%
MSM	-0.31%
ACC	-0.32%
WSO	-0.32%
ELS	-0.32%
HXL	-0.33%
SCCO	-0.33%
CCMP	-0.33%
CF	-0.33%
JBL	-0.33%
GHC	-0.34%
SRCL	-0.34%
GOOGL	-0.36%
ONB	-0.36%
TFSL	-0.36%
SPG	-0.36%
BIDU	-0.37%
CIEN	-0.37%
CACI	-0.38%
JEC	-0.38%
HAIN	-0.38%
PPC	-0.39%
EA	-0.39%
BA	-0.39%
ADS	-0.39%
TYL	-0.40%
MAA	-0.40%
PSB	-0.40%
CHTR	-0.41%
CAKE	-0.41%
KBR	-0.41%
OII	-0.42%
CSX	-0.42%
ETN	-0.43%
AMTD	-0.43%
NXST	-0.44%
ARE	-0.44%
TTEK	-0.44%
RNR	-0.45%
VSAT	-0.45%
ETFC	-0.46%
AEO	-0.46%
ENS	-0.46%
VNO	-0.47%
IDTI	-0.47%
ANAT	-0.47%
GGP	-0.48%
GPK	-0.48%
AMD	-0.48%
OC	-0.48%
SJI	-0.48%
SFLY	-0.49%
AAPL	-0.49%
HRL	-0.51%
CLF	-0.52%
O	-0.52%
HIG	-0.52%
INTC	-0.53%
HAE	-0.53%
EEFT	-0.53%
CMC	-0.54%
CELG	-0.54%
WSM	-0.56%
SWK	-0.56%
KAR	-0.56%
AWI	-0.57%
NOC	-0.57%
EXAS	-0.58%
RLI	-0.58%
KMX	-0.59%
FIS	-0.59%
MCY	-0.60%
JWN	-0.60%
PSMT	-0.60%
ARRY	-0.60%
TEL	-0.61%
DVN	-0.61%
NAV	-0.62%
LM	-0.62%
MKSI	-0.62%
MGLN	-0.63%
VMW	-0.63%
LPLA	-0.64%
KMT	-0.65%
DISH	-0.66%
EE	-0.66%
URBN	-0.68%
SYNT	-0.68%
DG	-0.69%
NHI	-0.71%
SNH	-0.71%
CPT	-0.72%
CHDN	-0.74%
CLGX	-0.75%
USNA	-0.76%
XEC	-0.77%
VIAB	-0.78%
DK	-0.79%
ACGL	-0.80%
COO	-0.80%
OMC	-0.80%
FNGN	-0.83%
TREX	-0.84%
AZPN	-0.84%
MPW	-0.84%
WOR	-0.85%
NFG	-0.86%
XRAY	-0.86%
ARRS	-0.87%
MDCO	-0.87%
WCG	-0.87%
M	-0.91%
EIX	-0.91%
SEM	-0.97%
APC	-0.98%
ESGR	-0.99%
APA	-0.99%
IBM	-1.01%
DDS	-1.03%
ESV	-1.03%
AHL	-1.03%
IRWD	-1.06%
PDCE	-1.06%
XL	-1.09%
BDN	-1.13%
AAN	-1.13%
TRGP	-1.14%
TROX	-1.19%
SWN	-1.21%
LOGM	-1.29%
BPOP	-1.33%
PAG	-1.37%
NKTR	-1.37%
FCFS	-1.39%
CMG	-1.42%
MGM	-1.42%
MRO	-1.48%
LVS	-1.50%
KFY	-1.68%
ATI	-1.69%
RRC	-1.72%
EFX	-1.75%
VR	-1.88%
GTT	-1.93%
FCX	-2.14%
BDC	-2.14%
OPK	-2.19%
HRB	-2.36%
AXS	-2.49%
VRX	-2.60%
LNG	-2.61%
CCE	-2.68%
CNX	-2.71%
SIG	-2.73%
CXW	-3.77%
BOFI	-4.11%
AFSI	-4.88%

Top 10 long positions of all time	max
sid
EXEL	112.05%
GTT	110.58%
NVDA	110.47%
NFX	107.93%
AMD	107.33%
HRTX	105.11%
STMP	105.06%
NEM	105.00%
MGM	104.52%
DY	103.85%

Summary stats	All trades	Short trades	Long trades
Total number of round_trips	2264.00	22.00	2242.00
Percent profitable	0.53	0.45	0.53
Winning round_trips	1189.00	10.00	1179.00
Losing round_trips	1062.00	12.00	1050.00
Even round_trips	13.00	0.00	13.00

PnL stats	All trades	Short trades	Long trades
Total profit	$281569.68	$-3.24	$281572.92
Gross profit	$1253052.67	$7.07	$1253045.60
Gross loss	$-971482.99	$-10.31	$-971472.68
Profit factor	$1.29	$0.69	$1.29
Avg. trade net profit	$124.37	$-0.15	$125.59
Avg. winning trade	$1053.87	$0.71	$1062.80
Avg. losing trade	$-914.77	$-0.86	$-925.21
Ratio Avg. Win:Avg. Loss	$1.15	$0.82	$1.15
Largest winning trade	$42403.45	$1.71	$42403.45
Largest losing trade	$-14966.87	$-5.64	$-14966.87

Duration stats	All trades	Short trades	Long trades
Avg duration	2 days 21:54:03.818021	2 days 14:10:54.545454	2 days 21:58:36.504906
Median duration	2 days 00:00:00	2 days 00:00:00	2 days 00:00:00
Longest duration	11 days 00:00:00	5 days 00:00:00	11 days 00:00:00
Shortest duration	0 days 03:00:01	1 days 00:00:00	0 days 03:00:01

Profitability (PnL / PnL total) per name
symbol
IMMU	18.33%
AMD	15.92%
SGMS	11.95%
HRTX	11.37%
ABMD	6.08%
DXCM	5.92%
TAL	5.73%
AET	5.63%
X	5.44%
KRO	5.29%
TROX	4.70%
FIZZ	4.69%
NVDA	4.60%
ITRI	4.40%
EXEL	4.18%
STMP	3.78%
NKTR	3.14%
AGO	2.68%
NFX	2.67%
RES	2.44%
ATVI	2.43%
MU	2.41%
INCY	2.33%
NEM	2.30%
MTZ	2.17%
HOLX	2.14%
GDOT	2.04%
MRVL	1.97%
AMED	1.93%
DPZ	1.78%
LUV	1.68%
NUS	1.67%
BID	1.66%
AGCO	1.55%
EBS	1.51%
UFS	1.50%
IDCC	1.48%
OLED	1.47%
ALL	1.47%
LRCX	1.40%
PTEN	1.34%
CLR	1.31%
WGL	1.31%
RP	1.31%
BCO	1.27%
OSK	1.25%
URI	1.24%
DAN	1.22%
GT	1.21%
NBIX	1.19%
JBT	1.17%
LB	1.16%
CBU	1.16%
IDXX	1.14%
ALB	1.13%
LSTR	1.08%
CNO	1.04%
SLAB	1.02%
IPGP	1.02%
MTG	0.96%
FOLD	0.95%
JBLU	0.92%
CNC	0.91%
TTWO	0.91%
IRWD	0.90%
GPT	0.90%
EGN	0.89%
SMTC	0.87%
CACC	0.84%
CDNS	0.80%
MMS	0.80%
PNM	0.78%
PEGA	0.78%
ROP	0.77%
UNM	0.76%
MS	0.72%
CASY	0.72%
NATI	0.72%
FIBK	0.71%
THO	0.69%
AYI	0.68%
WBS	0.68%
AEO	0.68%
BLKB	0.68%
DECK	0.67%
HPP	0.66%
SWX	0.65%
AEL	0.64%
CTXS	0.64%
VC	0.63%
MYGN	0.62%
IIVI	0.62%
PLD	0.62%
NVR	0.61%
TMUS	0.58%
PGR	0.55%
STX	0.55%
AVGO	0.55%
ALGN	0.54%
CUBE	0.53%
JNPR	0.53%
PRI	0.52%
DRI	0.50%
FLO	0.50%
LGND	0.50%
STL	0.50%
MA	0.49%
MAC	0.49%
B	0.49%
SFNC	0.47%
RDN	0.46%
SIVB	0.46%
DRE	0.46%
HRG	0.46%
UMPQ	0.45%
BMRN	0.45%
NEE	0.44%
KMT	0.44%
FNGN	0.44%
WEN	0.43%
IRM	0.43%
CAVM	0.41%
SUI	0.41%
SIGI	0.41%
STLD	0.41%
MOH	0.41%
CCL	0.39%
KNX	0.38%
PNW	0.38%
CCOI	0.37%
REGN	0.37%
CI	0.34%
ENV	0.33%
DKS	0.33%
MYL	0.33%
EEFT	0.33%
BGCP	0.32%
LANC	0.32%
CSFL	0.31%
COLM	0.31%
FTNT	0.30%
BK	0.30%
DLB	0.29%
PCH	0.29%
CY	0.29%
GOLD	0.28%
UNH	0.28%
NHI	0.28%
OZRK	0.27%
MO	0.26%
DAL	0.24%
TRN	0.24%
NTAP	0.24%
HIW	0.23%
ILMN	0.23%
QDEL	0.23%
VR	0.22%
KEX	0.22%
MTN	0.22%
ENR	0.20%
DCT	0.20%
STZ	0.19%
LLY	0.19%
CHK	0.19%
SYY	0.19%
SBUX	0.19%
WCN	0.18%
LPLA	0.18%
ALK	0.18%
SIRI	0.18%
TRMB	0.18%
DCI	0.17%
NJR	0.17%
WMB	0.17%
KO	0.17%
MMSI	0.16%
WYNN	0.16%
ANTM	0.16%
PODD	0.15%
CHFC	0.15%
HRB	0.15%
TRI	0.15%
IART	0.15%
UTHR	0.14%
MAN	0.14%
CHE	0.14%
KSS	0.14%
ATI	0.14%
HPQ	0.13%
FR	0.13%
TCBI	0.13%
ADP	0.13%
EFX	0.13%
NUVA	0.12%
BDX	0.12%
TXN	0.12%
WWW	0.12%
NXST	0.11%
AIZ	0.11%
BAX	0.11%
LAMR	0.11%
UNF	0.10%
AAL	0.10%
JACK	0.10%
ITT	0.10%
BBY	0.10%
BG	0.10%
PNC	0.10%
ABT	0.09%
RGLD	0.09%
HE	0.09%
SEIC	0.09%
KBR	0.09%
KLAC	0.09%
TXRH	0.09%
IDTI	0.08%
SEB	0.08%
SBAC	0.08%
MLM	0.08%
LECO	0.08%
HAS	0.08%
JCOM	0.08%
MKTX	0.08%
IR	0.07%
BCPC	0.07%
BKH	0.07%
AGN	0.07%
LNT	0.07%
NCR	0.07%
WBA	0.07%
FNF	0.07%
ORA	0.07%
TECD	0.07%
GLNG	0.07%
CRM	0.06%
RMD	0.06%
MSA	0.06%
CGNX	0.06%
BBT	0.06%
STT	0.06%
BAH	0.06%
BR	0.06%
AJG	0.06%
BWA	0.06%
WLL	0.06%
FL	0.06%
ULTA	0.06%
RF	0.05%
KSU	0.05%
PCG	0.05%
LYV	0.05%
SATS	0.05%
WEX	0.05%
SCG	0.05%
ACGL	0.05%
TYL	0.05%
CNA	0.04%
NI	0.04%
LM	0.04%
AIG	0.03%
TAP	0.03%
FMBI	0.03%
CSGP	0.03%
HEI	0.03%
PM	0.03%
AOS	0.03%
CATY	0.03%
PSA	0.03%
AME	0.03%
DAR	0.03%
WRB	0.03%
DEI	0.02%
EXPE	0.02%
FFBC	0.02%
HCSG	0.02%
BOKF	0.02%
MSCI	0.02%
CFX	0.02%
THS	0.01%
SNX	0.01%
HRS	0.01%
LNG	0.01%
AMTD	0.01%
SHW	0.01%
AMGN	0.00%
ICE	0.00%
ASH	0.00%
ROLL	0.00%
SJM	0.00%
NUAN	0.00%
HXL	0.00%
HFC	0.00%
MIDD	0.00%
AFSI	0.00%
O	0.00%
UAA	0.00%
BRKR	0.00%
FULT	0.00%
ESV	-0.00%
SYNT	-0.00%
PBCT	-0.00%
SNV	-0.00%
DO	-0.00%
VRNT	-0.00%
DNB	-0.00%
THC	-0.00%
TMO	-0.00%
PG	-0.00%
CMA	-0.00%
ENS	-0.00%
ZBRA	-0.00%
MKL	-0.00%
WMT	-0.00%
ABC	-0.00%
SON	-0.01%
ESGR	-0.01%
CF	-0.01%
VRSK	-0.01%
IDA	-0.01%
HELE	-0.01%
NDSN	-0.01%
AWI	-0.01%
CMCSA	-0.01%
MTD	-0.01%
PEB	-0.01%
RTN	-0.01%
GGP	-0.01%
COG	-0.01%
JJSF	-0.01%
FCFS	-0.02%
SLGN	-0.02%
UHAL	-0.02%
SEM	-0.02%
AAP	-0.02%
OHI	-0.02%
EXC	-0.02%
GRMN	-0.02%
TTEK	-0.02%
EXP	-0.02%
PENN	-0.02%
JPM	-0.02%
LMT	-0.03%
TECH	-0.03%
T	-0.03%
EE	-0.03%
MAR	-0.03%
WBC	-0.03%
BYD	-0.03%
ICUI	-0.03%
FSLR	-0.03%
ROST	-0.04%
AKAM	-0.04%
CFR	-0.04%
GVA	-0.04%
SEE	-0.04%
NSP	-0.04%
AIV	-0.04%
LVS	-0.05%
HBI	-0.05%
SMG	-0.05%
BECN	-0.05%
OKE	-0.05%
USNA	-0.06%
VMC	-0.06%
LBTYA	-0.06%
HUN	-0.06%
NNI	-0.06%
MSG	-0.06%
CCE	-0.06%
WTR	-0.06%
NDAQ	-0.06%
POOL	-0.07%
GHC	-0.07%
ADM	-0.07%
YUM	-0.08%
ARE	-0.08%
JNJ	-0.08%
EIX	-0.09%
XRAY	-0.09%
FLT	-0.09%
RHT	-0.09%
VAR	-0.09%
SSNC	-0.09%
RJF	-0.09%
ADSK	-0.09%
ACC	-0.10%
PHM	-0.11%
ALKS	-0.11%
SAM	-0.11%
BMY	-0.11%
DUK	-0.11%
C	-0.12%
MPWR	-0.12%
V	-0.12%
BIO	-0.12%
CAG	-0.12%
TEX	-0.12%
MNST	-0.13%
UDR	-0.13%
GPN	-0.13%
ORCL	-0.13%
CHKP	-0.14%
JCI	-0.14%
NTRS	-0.14%
EXPO	-0.15%
DE	-0.15%
TSS	-0.16%
FIS	-0.16%
EW	-0.16%
CPRT	-0.16%
HRC	-0.16%
NRG	-0.16%
SIG	-0.16%
CNX	-0.17%
TSLA	-0.17%
BSX	-0.17%
EBIX	-0.17%
CIT	-0.17%
DLR	-0.17%
FICO	-0.18%
ADI	-0.18%
TWO	-0.18%
NKE	-0.18%
LII	-0.18%
LPX	-0.18%
SBRA	-0.19%
SKYW	-0.19%
CERN	-0.19%
IBOC	-0.20%
WST	-0.21%
MAA	-0.21%
CCMP	-0.21%
BPOP	-0.22%
GD	-0.24%
SFLY	-0.24%
GM	-0.24%
S	-0.24%
WWE	-0.24%
SPG	-0.25%
WOR	-0.25%
TTC	-0.25%
ALE	-0.26%
AVY	-0.26%
ONB	-0.26%
XEL	-0.27%
IGT	-0.27%
PKG	-0.27%
KS	-0.27%
TFX	-0.28%
SGEN	-0.29%
VSH	-0.29%
CAKE	-0.30%
CB	-0.31%
DVN	-0.32%
DLTR	-0.33%
GEO	-0.33%
ERIE	-0.34%
PII	-0.34%
UBSH	-0.35%
RNR	-0.37%
AMAT	-0.37%
PDCE	-0.37%
KMX	-0.38%
RCL	-0.39%
EQR	-0.40%
EQIX	-0.42%
JBL	-0.43%
UAL	-0.44%
CACI	-0.45%
AFG	-0.45%
PSB	-0.45%
ARRY	-0.46%
CPA	-0.46%
HR	-0.49%
AAPL	-0.49%
FFIV	-0.51%
DG	-0.52%
CXW	-0.53%
COR	-0.54%
PWR	-0.54%
VG	-0.54%
ALNY	-0.55%
NOC	-0.58%
GNRC	-0.59%
HRL	-0.61%
MDCO	-0.61%
QCOM	-0.62%
ISRG	-0.64%
CHTR	-0.65%
SM	-0.68%
WCG	-0.68%
ELS	-0.69%
EPR	-0.70%
DISH	-0.70%
LDOS	-0.70%
CLGX	-0.71%
XPO	-0.71%
OAS	-0.71%
LHO	-0.74%
MASI	-0.74%
EXAS	-0.76%
SKX	-0.77%
OC	-0.77%
CPT	-0.77%
FUL	-0.78%
EBAY	-0.79%
INTC	-0.79%
SCI	-0.81%
PNFP	-0.86%
LHCG	-0.87%
URBN	-0.89%
MKSI	-0.93%
BOFI	-0.94%
VRTX	-0.95%
CREE	-0.96%
CSX	-0.97%
TSN	-0.98%
NAV	-0.98%
CVI	-0.98%
MGM	-0.98%
UCBI	-1.09%
COO	-1.09%
SNH	-1.10%
HUM	-1.11%
EA	-1.14%
MANH	-1.20%
SWKS	-1.25%
DK	-1.26%
AMZN	-1.28%
HIG	-1.29%
CELG	-1.29%
CXO	-1.30%
COHR	-1.31%
AZPN	-1.33%
AWK	-1.34%
CHDN	-1.47%
FCX	-1.48%
PPC	-1.63%
VRSN	-1.63%
HALO	-1.64%
TREX	-1.72%
NFLX	-1.76%
WDC	-1.86%
XL	-2.13%
DY	-2.22%
AAN	-2.38%
BIDU	-2.61%
VMW	-2.77%
TREE	-3.21%
LOGM	-3.45%
RE	-3.57%
GTT	-3.59%
MDR	-3.99%
OPK	-5.15%
TRGP	-5.18%
VRX	-9.54%
CLF	-11.67%